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Appendix to Chapter 9
APPENDIX TO CHAPTER 9
Appendix A-9
FINDING BETA THROUGH REGRESSION
Regression, a statistical tool used for measurement of beta establishes
relationship between historical data of returns of one security with that of
another (market index in this case). The relationship thus established can be used
for predicting the expected return with the given or expected behaviour of the
market.
Regression of past prices of a security and the value of index can be performed
on MS Excel. Presented in the Table A9-1 are the price data for Hindustan Lever
Limited (HLL) with that of the NSE index NIFTY. NIFTY represents the market returns
as a proxy. Columns 3 and 4 of the Table A 9-1 are the closing prices of HLL and
the values of NIFTY respectively for one year commencing 1st April 2005.
Daily returns on HLL and NIFTY are computed in next two columns (columns 5
and 6) using following formula:
One day Return for Day n (%) =
Pn - Pn-1
x100
Pn-1
where Pn and Pn-1 are the prices or values of the index on day n and the previous
day, n-1 respectively.
These returns on the stock and index are plotted as a scatter diagram. The
regression analysis can be done on the historical data taking index returns as
independent variable (on the x-axis) and stock returns as dependent variable
(on the y axis). From the past data we attempt to find the linear equation that
describes the relationship between the dependent and independent variables in
the best possible manner. The linear relationship between the two variables can
be expressed as:
y = + x + e
where a is the y intercept and is the slope of the line, and e represents the
deviation of the actual returns from the line.
FINANCIAL MANAGEMENT
Appendix to Chapter 9
e = y'-y = y'-( + x)
where y` is the actual return and y the forecast return on the basis of expected
market return of x.
This is shown in the Figure A9-1 which draws the regression line for four points a, b,
c and d. The regression line that fits best minimises the sum of squares of all the
errors.
Figure A 9-1: Regression
Stock Returns (y)
a
c
error
b
Regression Line
Market Returns (x)
FINANCIAL MANAGEMENT
Appendix to Chapter 9
Beta,
XY - X Y
2
n X 2 - ( X)
(X * Y n) - X * Y.
(X 2 n) - X 2
Alpha,
= Y - X
.......... .......... .......... .......... .......... .......... ......Eq (A9 - 2)
Where y = Returns on the stock, x = Returns on the index, and
X and Y are the average market returns and stock returns respective ly
Alternatively we may perform the regression in the EXCEL. Using following path:
Tools Add-in Analysis ToolPack Data Analysis Regression
Alternatively one can plot a scatter diagram Go to Chart Menu and click Add
trend line.
250 observations of price on the share of Hindustan Lever Ltd (HLL) and that of
the NIFTY are given in Table A9-1.
Table A9-1: Daily Price Data of Hindustan Lever and Index Value
Sr. No.
Date
1
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
2
01-Apr-05
04-Apr-05
05-Apr-05
06-Apr-05
07-Apr-05
08-Apr-05
11-Apr-05
12-Apr-05
13-Apr-05
15-Apr-05
18-Apr-05
19-Apr-05
20-Apr-05
21-Apr-05
22-Apr-05
25-Apr-05
26-Apr-05
27-Apr-05
28-Apr-05
29-Apr-05
HLL
Closing
Price
Rs.
3
132.20
131.50
129.75
132.75
132.05
132.05
130.00
132.45
134.95
132.25
130.10
126.90
131.20
131.20
132.20
133.75
137.75
143.35
144.50
137.55
X2
M2
-0.53
-1.33
2.31
-0.53
0.00
-1.55
1.88
1.89
-2.00
-1.63
-2.46
3.39
0.00
0.76
1.17
2.99
4.07
0.80
-4.81
-0.21
-0.53
0.82
-0.79
-1.05
-1.13
0.83
0.02
-3.41
-1.46
-0.95
1.06
0.98
0.96
0.18
-0.70
-1.11
0.30
-2.00
0.1088
0.6998
1.8868
0.4192
0.0000
1.7579
1.5719
0.0466
6.8306
2.3684
2.3476
3.6025
0.0000
0.7354
0.2145
-2.1016
-4.5076
0.2446
9.6129
0.2804
1.7710
5.3460
0.2781
0.0000
2.4101
3.5518
3.5627
4.0030
2.6429
6.0499
11.4819
0.0000
0.5809
1.3747
8.9440
16.5270
0.6436
23.1331
0.0422
0.2765
0.6660
0.6320
1.1122
1.2822
0.6957
0.0006
11.6558
2.1224
0.9110
1.1303
0.9542
0.9309
0.0335
0.4938
1.2294
0.0929
3.9946
FINANCIAL MANAGEMENT
Appendix to Chapter 9
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
02-May-05
03-May-05
04-May-05
05-May-05
06-May-05
09-May-05
10-May-05
11-May-05
12-May-05
13-May-05
16-May-05
17-May-05
18-May-05
19-May-05
20-May-05
23-May-05
24-May-05
25-May-05
26-May-05
27-May-05
30-May-05
31-May-05
01-Jun-05
02-Jun-05
03-Jun-05
04-Jun-05
06-Jun-05
07-Jun-05
08-Jun-05
09-Jun-05
10-Jun-05
13-Jun-05
14-Jun-05
15-Jun-05
16-Jun-05
17-Jun-05
20-Jun-05
21-Jun-05
22-Jun-05
23-Jun-05
24-Jun-05
27-Jun-05
28-Jun-05
29-Jun-05
30-Jun-05
01-Jul-05
133.25
132.45
135.50
134.95
134.10
132.20
132.70
131.65
130.55
131.60
132.65
131.70
130.50
130.25
130.05
127.85
129.30
129.45
132.05
138.20
144.45
143.25
149.00
147.35
146.80
150.60
147.60
143.50
142.45
147.80
145.90
149.70
148.00
149.10
149.20
149.35
148.40
152.65
154.40
155.35
163.20
162.45
162.80
162.75
164.05
164.85
1916.75
1920.70
1942.60
1963.30
1977.50
2000.75
1994.30
1985.95
1993.15
1988.30
2012.60
1990.80
1982.75
1990.85
1992.40
2013.90
2028.60
2043.85
2074.70
2076.40
2072.40
2087.55
2087.55
2064.65
2094.25
2092.35
2092.80
2098.15
2112.40
2103.20
2090.60
2102.75
2112.35
2128.65
2123.70
2123.40
2144.35
2170.00
2187.35
2183.85
2194.35
2199.80
2169.85
2191.65
2220.60
2211.90
-3.13
-0.60
2.30
-0.41
-0.63
-1.42
0.38
-0.79
-0.84
0.80
0.80
-0.72
-0.91
-0.19
-0.15
-1.69
1.13
0.12
2.01
4.66
4.52
-0.83
4.01
-1.11
-0.37
2.59
-1.99
-2.78
-0.73
3.76
-1.29
2.60
-1.14
0.74
0.07
0.10
-0.64
2.86
1.15
0.62
5.05
-0.46
0.22
-0.03
0.80
0.49
0.75
0.21
1.14
1.07
0.72
1.18
-0.32
-0.42
0.36
-0.24
1.22
-1.08
-0.40
0.41
0.08
1.08
0.73
0.75
1.51
0.08
-0.19
0.73
0.00
-1.10
1.43
-0.09
0.02
0.26
0.68
-0.44
-0.60
0.58
0.46
0.77
-0.23
-0.01
0.99
1.20
0.80
-0.16
0.48
0.25
-1.36
1.00
1.32
-0.39
-2.3415
-0.1237
2.6256
-0.4325
-0.4556
-1.6658
-0.1219
0.3313
-0.3029
-0.1957
0.9751
0.7757
0.3684
-0.0783
-0.0120
-1.8255
0.8278
0.0872
3.0316
0.3816
-0.8712
-0.6073
0.0000
1.2148
-0.5351
-0.2348
-0.0428
-0.7101
-0.4970
-1.6357
0.7701
1.5137
-0.5185
0.5735
-0.0156
-0.0014
-0.6276
3.4257
0.9166
-0.0985
2.4295
-0.1141
-0.2933
-0.0309
1.0551
-0.1911
9.7727
0.3605
5.3027
0.1648
0.3967
2.0075
0.1430
0.6261
0.6981
0.6469
0.6366
0.5129
0.8302
0.0367
0.0236
2.8617
1.2863
0.0135
4.0341
21.6907
20.4524
0.6901
16.1119
1.2263
0.1393
6.7006
3.9682
7.7160
0.5354
14.1053
1.6526
6.7835
1.2896
0.5524
0.0045
0.0101
0.4046
8.2018
1.3143
0.3786
25.5339
0.2112
0.0464
0.0009
0.6380
0.2378
0.5610
0.0425
1.3001
1.1355
0.5231
1.3823
0.1039
0.1753
0.1314
0.0592
1.4936
1.1733
0.1635
0.1669
0.0061
1.1645
0.5328
0.5651
2.2783
0.0067
0.0371
0.5344
0.0000
1.2034
2.0554
0.0082
0.0005
0.0654
0.4613
0.1897
0.3589
0.3378
0.2084
0.5954
0.0541
0.0002
0.9734
1.4308
0.6393
0.0256
0.2312
0.0617
1.8536
1.0094
1.7448
0.1535
FINANCIAL MANAGEMENT
Appendix to Chapter 9
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
04-Jul-05
05-Jul-05
06-Jul-05
07-Jul-05
08-Jul-05
11-Jul-05
12-Jul-05
13-Jul-05
14-Jul-05
15-Jul-05
18-Jul-05
19-Jul-05
20-Jul-05
21-Jul-05
22-Jul-05
25-Jul-05
26-Jul-05
27-Jul-05
29-Jul-05
01-Aug-05
02-Aug-05
03-Aug-05
04-Aug-05
05-Aug-05
08-Aug-05
09-Aug-05
10-Aug-05
11-Aug-05
12-Aug-05
16-Aug-05
17-Aug-05
18-Aug-05
19-Aug-05
22-Aug-05
23-Aug-05
24-Aug-05
25-Aug-05
26-Aug-05
29-Aug-05
30-Aug-05
31-Aug-05
01-Sep-05
02-Sep-05
05-Sep-05
06-Sep-05
08-Sep-05
164.30
162.80
163.15
158.35
158.65
158.20
158.75
156.70
155.65
156.30
159.95
159.90
160.25
158.45
161.70
165.50
164.05
164.35
166.65
174.10
171.20
167.85
167.50
165.30
161.90
160.55
161.85
169.75
168.60
171.55
172.85
168.70
167.70
166.90
164.90
162.00
161.95
163.60
162.35
166.60
165.50
167.90
169.10
166.50
165.70
166.55
2230.65
2210.75
2228.20
2179.40
2196.20
2218.85
2220.80
2204.05
2185.10
2212.55
2234.00
2237.30
2241.90
2230.50
2265.60
2291.75
2303.15
2319.10
2312.30
2318.05
2353.65
2357.00
2367.80
2361.20
2324.40
2318.70
2360.15
2380.90
2361.55
2369.80
2403.15
2388.45
2383.45
2367.85
2326.10
2322.50
2354.55
2357.05
2337.65
2367.75
2384.65
2405.75
2415.80
2422.95
2428.65
2454.45
-0.33
-0.91
0.21
-2.94
0.19
-0.28
0.35
-1.29
-0.67
0.42
2.34
-0.03
0.22
-1.12
2.05
2.35
-0.88
0.18
1.40
4.47
-1.67
-1.96
-0.21
-1.31
-2.06
-0.83
0.81
4.88
-0.68
1.75
0.76
-2.40
-0.59
-0.48
-1.20
-1.76
-0.03
1.02
-0.76
2.62
-0.66
1.45
0.71
-1.54
-0.48
0.51
0.85
-0.89
0.79
-2.19
0.77
1.03
0.09
-0.75
-0.86
1.26
0.97
0.15
0.21
-0.51
1.57
1.15
0.50
0.69
-0.29
0.25
1.54
0.14
0.46
-0.28
-1.56
-0.25
1.79
0.88
-0.81
0.35
1.41
-0.61
-0.21
-0.65
-1.76
-0.15
1.38
0.11
-0.82
1.29
0.71
0.88
0.42
0.30
0.24
1.06
-0.2828
0.8145
0.1697
6.4435
0.1460
-0.2925
0.0306
0.9740
0.5761
0.5246
2.2640
-0.0046
0.0450
0.5712
3.2277
2.7125
-0.4358
0.1266
-0.4103
1.1117
-2.5582
-0.2785
-0.0955
0.3661
3.2057
0.2045
1.4475
4.2913
0.5506
0.6113
1.0664
1.4686
0.1241
0.3122
2.1129
0.2722
-0.0426
0.1082
0.6289
3.3707
-0.4713
1.2831
0.2986
-0.4551
-0.1130
0.5449
0.1113
0.8335
0.0462
8.6558
0.0359
0.0805
0.1209
1.6676
0.4490
0.1744
5.4534
0.0010
0.0479
1.2617
4.2071
5.5226
0.7676
0.0334
1.9585
19.9849
2.7746
3.8290
0.0435
1.7251
4.2307
0.6953
0.6556
23.8248
0.4590
3.0615
0.5743
5.7644
0.3514
0.2276
1.4360
3.0928
0.0010
1.0380
0.5838
6.8529
0.4359
2.1029
0.5108
2.3641
0.2309
0.2631
0.7186
0.7959
0.6230
4.7966
0.5942
1.0636
0.0077
0.5689
0.7392
1.5781
0.9399
0.0218
0.0423
0.2586
2.4763
1.3322
0.2474
0.4796
0.0860
0.0618
2.3586
0.0203
0.2100
0.0777
2.4290
0.0601
3.1957
0.7730
0.6605
0.1220
1.9805
0.3742
0.0438
0.4284
3.1089
0.0240
1.9043
0.0113
0.6774
1.6580
0.5095
0.7829
0.1745
0.0876
0.0553
1.1285
FINANCIAL MANAGEMENT
Appendix to Chapter 9
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
09-Sep-05
12-Sep-05
13-Sep-05
14-Sep-05
15-Sep-05
16-Sep-05
19-Sep-05
20-Sep-05
21-Sep-05
22-Sep-05
23-Sep-05
26-Sep-05
27-Sep-05
28-Sep-05
29-Sep-05
30-Sep-05
03-Oct-05
04-Oct-05
05-Oct-05
06-Oct-05
07-Oct-05
10-Oct-05
11-Oct-05
13-Oct-05
14-Oct-05
17-Oct-05
18-Oct-05
19-Oct-05
20-Oct-05
21-Oct-05
24-Oct-05
25-Oct-05
26-Oct-05
27-Oct-05
28-Oct-05
31-Oct-05
01-Nov-05
02-Nov-05
07-Nov-05
08-Nov-05
09-Nov-05
10-Nov-05
11-Nov-05
14-Nov-05
16-Nov-05
17-Nov-05
165.60
169.25
169.25
171.65
176.15
177.60
177.15
174.65
171.00
164.80
169.85
176.15
180.85
184.55
185.30
181.15
185.90
184.05
180.65
175.05
180.10
180.20
178.70
175.15
173.20
175.65
175.75
168.70
168.65
171.30
167.20
167.45
165.35
162.30
157.65
161.45
162.40
164.95
167.15
169.65
172.45
168.60
172.20
170.75
168.90
169.65
2455.45
2484.15
2500.35
2492.45
2523.95
2552.35
2567.10
2578.00
2567.30
2476.50
2477.75
2557.35
2574.85
2598.05
2611.20
2601.40
2630.05
2663.35
2644.40
2579.15
2574.05
2566.85
2589.55
2537.30
2484.40
2485.15
2468.20
2412.45
2395.45
2443.75
2394.85
2418.20
2408.50
2352.90
2316.05
2370.95
2386.75
2419.05
2461.60
2492.65
2489.10
2500.70
2548.65
2558.70
2582.75
2603.95
-0.57
2.20
0.00
1.42
2.62
0.82
-0.25
-1.41
-2.09
-3.63
3.06
3.71
2.67
2.05
0.41
-2.24
2.62
-1.00
-1.85
-3.10
2.88
0.06
-0.83
-1.99
-1.11
1.41
0.06
-4.01
-0.03
1.57
-2.39
0.15
-1.25
-1.84
-2.87
2.41
0.59
1.57
1.33
1.50
1.65
-2.23
2.14
-0.84
-1.08
0.44
0.04
1.17
0.65
-0.32
1.26
1.13
0.58
0.42
-0.42
-3.54
0.05
3.21
0.68
0.90
0.51
-0.38
1.10
1.27
-0.71
-2.47
-0.20
-0.28
0.88
-2.02
-2.08
0.03
-0.68
-2.26
-0.70
2.02
-2.00
0.98
-0.40
-2.31
-1.57
2.37
0.67
1.35
1.76
1.26
-0.14
0.47
1.92
0.39
0.94
0.82
-0.0232
2.5762
0.0000
-0.4480
3.3132
0.9262
-0.1464
-0.5992
0.8674
12.8234
0.1547
11.9160
1.8258
1.8434
0.2057
0.8405
2.8878
-1.2600
1.3144
7.6490
-0.5705
-0.0155
-0.7361
4.0084
2.3212
0.0427
-0.0388
9.0606
0.0209
3.1683
4.7894
0.1458
0.5031
4.2582
4.4871
5.7137
0.3921
2.1250
2.3460
1.8866
-0.2351
-1.0404
4.0942
-0.3320
-1.0184
0.3645
0.3254
4.8581
0.0000
2.0108
6.8729
0.6776
0.0642
1.9916
4.3677
13.1459
9.3901
13.7578
7.1192
4.1857
0.1652
5.0159
6.8756
0.9903
3.4126
9.6095
8.3226
0.0031
0.6929
3.9465
1.2395
2.0010
0.0032
16.0912
0.0009
2.4690
5.7287
0.0224
1.5728
3.4024
8.2086
5.8100
0.3462
2.4655
1.7789
2.2370
2.7240
4.9842
4.5592
0.7090
1.1739
0.1972
0.0017
1.3662
0.4253
0.0998
1.5972
1.2661
0.3340
0.1803
0.1723
12.5089
0.0025
10.3207
0.4683
0.8118
0.2562
0.1409
1.2129
1.6031
0.5062
6.0884
0.0391
0.0782
0.7821
4.0712
4.3468
0.0009
0.4652
5.1019
0.4966
4.0656
4.0041
0.9506
0.1609
5.3291
2.4528
5.6189
0.4441
1.8314
3.0939
1.5911
0.0203
0.2172
3.6767
0.1555
0.8835
0.6738
FINANCIAL MANAGEMENT
Appendix to Chapter 9
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
18-Nov-05
21-Nov-05
22-Nov-05
23-Nov-05
24-Nov-05
25-Nov-05
26-Nov-05
28-Nov-05
29-Nov-05
30-Nov-05
01-Dec-05
02-Dec-05
05-Dec-05
06-Dec-05
07-Dec-05
08-Dec-05
09-Dec-05
12-Dec-05
13-Dec-05
14-Dec-05
15-Dec-05
16-Dec-05
19-Dec-05
20-Dec-05
21-Dec-05
22-Dec-05
23-Dec-05
26-Dec-05
27-Dec-05
28-Dec-05
29-Dec-05
30-Dec-05
02-Jan-06
03-Jan-06
04-Jan-06
05-Jan-06
06-Jan-06
09-Jan-06
10-Jan-06
12-Jan-06
13-Jan-06
16-Jan-06
17-Jan-06
18-Jan-06
19-Jan-06
20-Jan-06
172.65
170.40
169.45
172.30
176.95
186.70
185.65
191.70
187.65
182.10
185.95
185.60
187.60
185.65
187.95
188.00
188.95
186.30
188.50
187.60
187.10
188.35
195.40
194.55
195.60
195.10
193.10
188.95
192.35
193.40
195.10
197.20
195.10
196.25
195.05
194.80
193.50
193.25
189.05
187.70
186.65
186.60
186.05
184.60
187.65
186.40
2620.05
2602.50
2572.85
2608.60
2635.00
2664.30
2683.45
2712.00
2698.30
2652.25
2698.95
2697.95
2660.50
2662.30
2693.00
2706.70
2756.45
2776.20
2812.30
2804.55
2778.55
2810.15
2842.60
2826.20
2822.90
2835.25
2804.85
2749.60
2805.90
2794.05
2821.95
2836.55
2835.95
2883.35
2904.40
2899.85
2914.00
2910.10
2870.80
2850.70
2850.55
2833.10
2829.10
2809.20
2870.85
2900.95
1.77
-1.30
-0.56
1.68
2.70
5.51
-0.56
3.26
-2.11
-2.96
2.11
-0.19
1.08
-1.04
1.24
0.03
0.51
-1.40
1.18
-0.48
-0.27
0.67
3.74
-0.44
0.54
-0.26
-1.03
-2.15
1.80
0.55
0.88
1.08
-1.06
0.59
-0.61
-0.13
-0.67
-0.13
-2.17
-0.71
-0.56
-0.03
-0.29
-0.78
1.65
-0.67
0.62
-0.67
-1.14
1.39
1.01
1.11
0.72
1.06
-0.51
-1.71
1.76
-0.04
-1.39
0.07
1.15
0.51
1.84
0.72
1.30
-0.28
-0.93
1.14
1.15
-0.58
-0.12
0.44
-1.07
-1.97
2.05
-0.42
1.00
0.52
-0.02
1.67
0.73
-0.16
0.49
-0.13
-1.35
-0.70
-0.01
-0.61
-0.14
-0.70
2.19
1.05
1.0934
0.8729
0.6352
2.3370
2.7313
6.1269
-0.4042
3.4672
1.0672
5.0476
3.7227
0.0070
-1.4958
-0.0703
1.4286
0.0135
0.9288
-1.0049
1.5356
0.1316
0.2471
0.7598
4.3222
0.2510
-0.0630
-0.1118
1.0991
4.2334
3.6844
-0.2305
0.8777
0.5569
0.0225
0.9852
-0.4464
0.0201
-0.3256
0.0173
2.9350
0.5000
0.0029
0.0164
0.0416
0.5482
3.6259
-0.6984
3.1270
1.6984
0.3108
2.8288
7.2834
30.3604
0.3163
10.6199
4.4634
8.7476
4.4699
0.0354
1.1612
1.0804
1.5348
0.0007
0.2553
1.9670
1.3945
0.2280
0.0710
0.4463
14.0103
0.1892
0.2913
0.0653
1.0509
4.6188
3.2379
0.2980
0.7727
1.1586
1.1340
0.3474
0.3739
0.0164
0.4454
0.0167
4.7235
0.5099
0.3129
0.0007
0.0869
0.6074
2.7298
0.4437
0.3823
0.4487
1.2980
1.9307
1.0242
1.2364
0.5166
1.1319
0.2552
2.9126
3.1003
0.0014
1.9268
0.0046
1.3297
0.2588
3.3784
0.5134
1.6909
0.0759
0.8594
1.2934
1.3334
0.3329
0.0136
0.1914
1.1496
3.8801
4.1925
0.1784
0.9971
0.2677
0.0004
2.7936
0.5330
0.0245
0.2381
0.0179
1.8238
0.4902
0.0000
0.3747
0.0199
0.4948
4.8162
1.0993
FINANCIAL MANAGEMENT
Appendix to Chapter 9
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
23-Jan-06
24-Jan-06
25-Jan-06
27-Jan-06
30-Jan-06
31-Jan-06
01-Feb-06
02-Feb-06
03-Feb-06
06-Feb-06
07-Feb-06
08-Feb-06
10-Feb-06
13-Feb-06
14-Feb-06
15-Feb-06
16-Feb-06
17-Feb-06
20-Feb-06
21-Feb-06
22-Feb-06
23-Feb-06
24-Feb-06
27-Feb-06
28-Feb-06
01-Mar-06
02-Mar-06
03-Mar-06
06-Mar-06
07-Mar-06
08-Mar-06
09-Mar-06
10-Mar-06
13-Mar-06
14-Mar-06
16-Mar-06
17-Mar-06
20-Mar-06
21-Mar-06
22-Mar-06
23-Mar-06
24-Mar-06
27-Mar-06
28-Mar-06
29-Mar-06
30-Mar-06
188.00
188.30
196.20
195.10
192.15
195.25
191.60
193.55
190.30
194.65
197.80
197.20
208.05
209.50
224.45
235.90
238.45
230.70
238.50
237.00
241.50
247.05
242.20
238.65
243.70
245.45
244.20
244.25
243.45
252.30
242.75
244.55
252.00
252.90
257.90
258.45
254.05
252.65
252.10
255.30
255.25
255.65
268.55
267.80
266.50
273.20
2884.05
2908.00
2940.35
2982.75
2974.50
3001.10
2971.55
2967.45
2940.60
3000.45
3020.10
3008.95
3027.55
3041.15
3017.55
3022.20
3021.60
2981.50
3005.85
3035.50
3050.80
3062.10
3050.05
3067.45
3074.70
3123.10
3150.70
3147.35
3190.40
3182.80
3116.70
3129.10
3183.90
3202.65
3195.35
3226.60
3234.05
3265.65
3262.30
3240.15
3247.15
3279.80
3321.65
3325.00
3354.20
3418.95
0.86
0.16
4.20
-0.56
-1.51
1.61
-1.87
1.02
-1.68
2.29
1.62
-0.30
5.50
0.70
7.14
5.10
1.08
-3.25
3.38
-0.63
1.90
2.30
-1.96
-1.47
2.12
0.72
-0.51
0.02
-0.33
3.64
-3.79
0.74
3.05
0.36
1.98
0.21
-1.70
-0.55
-0.22
1.27
-0.02
0.16
5.05
-0.28
-0.49
2.51
-0.58
0.83
1.11
1.44
-0.28
0.89
-0.98
-0.14
-0.90
2.04
0.65
-0.37
0.62
0.45
-0.78
0.15
-0.02
-1.33
0.82
0.99
0.50
0.37
-0.39
0.57
0.24
1.57
0.88
-0.11
1.37
-0.24
-2.08
0.40
1.75
0.59
-0.23
0.98
0.23
0.98
-0.10
-0.68
0.22
1.01
1.28
0.10
0.88
1.93
-0.5001
0.1325
4.6672
-0.8085
0.4182
1.4427
1.8407
-0.1404
1.5193
4.6524
1.0598
0.1120
3.4011
0.3131
-5.5377
0.7861
-0.0215
4.3133
2.7613
-0.6204
0.9570
0.8512
0.7725
-0.8362
0.5001
1.1304
-0.4501
-0.0022
-0.4480
-0.8660
7.8610
0.2950
5.3352
0.2103
-0.4506
0.2086
-0.3931
-0.5385
0.0223
-0.8618
-0.0042
0.1576
6.4386
-0.0282
-0.4263
4.8532
0.7368
0.0255
17.6017
0.3143
2.2863
2.6028
3.4946
1.0358
2.8196
5.2252
2.6189
0.0920
30.2723
0.4857
50.9230
26.0239
1.1685
10.5635
11.4313
0.3956
3.6052
5.2814
3.8540
2.1484
4.4778
0.5157
0.2594
0.0004
0.1073
13.2150
14.3276
0.5498
9.2806
0.1276
3.9088
0.0455
2.8984
0.3037
0.0474
1.6112
0.0004
0.0246
25.4617
0.0780
0.2356
6.3206
0.3394
0.6896
1.2375
2.0794
0.0765
0.7997
0.9695
0.0190
0.8187
4.1424
0.4289
0.1363
0.3821
0.2018
0.6022
0.0237
0.0004
1.7612
0.6670
0.9730
0.2541
0.1372
0.1549
0.3255
0.0559
2.4779
0.7810
0.0113
1.8709
0.0567
4.3130
0.1583
3.0671
0.3468
0.0520
0.9565
0.0533
0.9547
0.0105
0.4610
0.0467
1.0110
1.6282
0.0102
0.7712
3.7265
FINANCIAL MANAGEMENT
Appendix to Chapter 9
251
31-Mar-06
SUM
AVERAGE
272.00
3402.55
-0.44
76.82
0.3073
-0.48
51.20
0.2048
0.2107
256.87
1.0275
0.1929
946.44
3.7858
0.2301
276.76
1.1070
XM - X M
2
n M 2 - ( M)
(X * M n) - X * M .
(M2 n) - M 2
y = 0.9056x + 0.1218
2
R = 0.2366
-4
-3
-2
-1
-2
-4
-6
Market Return (%)
The scatter diagram of the daily returns of the HLL and NIFTY are shown in Figure
A9-2. This has been done using the returns of HLL and NIFTY. The coefficients, a
and can further be improved in terms of reliability on them under normal
circumstances if the log returns rather than returns are plotted on the scatter
FINANCIAL MANAGEMENT
Appendix to Chapter 9
10